统计研究 ›› 2010, Vol. 27 ›› Issue (2): 72-76.

• 论文 • 上一篇    下一篇

人民币汇率与利率之间的动态关系 ——基于VAR-GARCH模型的实证研究

赵天荣 李成   

  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2010-02-15 发布日期:2010-02-15

The Dynamic Relationship between the RMB Exchange Rate and Interest Rate: An Empirical Study Based on the VAR-GARCH Model

Zhao Tianrong & Li Cheng   

  • Received:1900-01-01 Revised:1900-01-01 Online:2010-02-15 Published:2010-02-15

摘要: 加强利率政策和汇率政策的协调配合是提高货币政策效果的要求,制定出合理的利率政策其要件之一就是确认人民币汇率弹性增大对利率稳定性的影响程度。本文利用二元VAR-GARCH模型,对人民币汇率与利率之间的动态关系进行实证研究。结果表明,汇率改革前后,汇率与利率之间的动态关系发生了系统性的改变,人民币汇率弹性的增大降低了利率波动的幅度。实证检验证明,从长期来看,汇改后人民币汇率弹性的增大能稳定利率波动,但短期内人民币弹性的增大实际上加剧了利率的波动。

关键词: 人民币汇率, 汇率弹性, 利率波动

Abstract: The coordination of the interest rate policy and exchange rate policy is a claim to improve the effectiveness of monetary policy, In order to work out a reasonable interest rate policy, it is one of the elements to confirm the impact of greater flexibility of RMB exchange rate on interest rate stability. In this paper, we study the dynamic relationship between the RMB exchange rate and interest rate by applying a bivariate VAR-GARCH model. The results show that the systemic changes of the dynamics between exchange rate and interest rate have taken place after exchange rate reform; flexibility of RMB exchange rate reduces the range of interest rate fluctuations. Empirical tests to prove that the greater flexibility of RMB exchange rate is stabilizing the volatility of interest rate in the long run, however actually exacerbates the volatility of interest rates in short run.

Key words: RMB Exchange Rate, Exchange Rate Fexibility, Interest Rate Fluctuations.